siat 3.2.2__py3-none-any.whl → 3.2.3__py3-none-any.whl

siat/markowitz2.py

@@ -1442,6 +1442,9 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
     mkt1=pd.DataFrame(mkt['Mkt'])
 
     stock_return0m=pd.merge(stock_return0,mkt1,how='left',left_index=True,right_index=True)
+    #必须舍弃空值，否则下面的回归将得不到系数!!!
+    stock_return0m.dropna(inplace=True)
+    
     #处理期间内无风险利率
     """
     if RF:
@@ -1492,8 +1495,7 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
         stock_return['pReta']=(1+stock_return['pRet'])**252 - 1
         stock_return['Mkta']=(1+stock_return['Mkt'])**252 - 1
         """
-        #回归求截距项作为阿尔法指数
-     
+        #回归求截距项作为阿尔法指数：参与回归的变量不能有空值，否则回归系数将为空值！！！
         (beta,alpha,_,_,_)=stats.linregress(stock_return['Mkt'],stock_return['pRet'])        
         """
         mean_return=stock_return[tickerlist].mul(random_weight,axis=1).sum(axis=1).mean(axis=0)
@@ -1938,7 +1940,9 @@ if __name__=='__main__':
     
     
 #==============================================================================
-
+if __name__=='__main__':
+    graph=True; convex_hull=False
+    
 def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False):
     """
     功能：计算投资组合的最高詹森阿尔法组合，并绘图
@@ -2020,7 +2024,9 @@ def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False):
     return name_hiret,hiret_weights,name_lorisk,lorisk_weights,portfolio_returns
 
 #==============================================================================
-    
+if __name__=='__main__':
+    col_ratio,col_y,col_x,name_hiret,name_lorisk,colorbartxt,title_ext,ylabeltxt,x_axis_name= \
+        ('Sharpe', 'alpha', 'beta', 'MAR', 'GMBA', '阿尔法指数', '阿尔法指数', '阿尔法指数', '贝塔系数')
     
 def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=True, \
@@ -2132,6 +2138,7 @@ if __name__=='__main__':
     
     RF=0
     graph=True;hirar_return=False;lorisk=True
+    convex_hull=False
 
 def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
                        graph=True,hirar_return=False,lorisk=True,convex_hull=False):

{siat-3.2.2.dist-info → siat-3.2.3.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.2.2
+Version: 3.2.3
 Summary: Securities Investment Analysis Tools (siat)
 Home-page: https://pypi.org/project/siat/
 Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University

{siat-3.2.2.dist-info → siat-3.2.3.dist-info}/RECORD

@@ -67,7 +67,7 @@ siat/local_debug_test.py,sha256=CDAOffW1Rvs-TcNN5giWVvHMlch1w4dp-w5SIV9jXL0,3936
 siat/market_china.py,sha256=nabx24qm7N51OafTrwUw542pNeFJ3JaQ1wqyv-nLN5I,37883
 siat/markowitz.py,sha256=c06gCRhMABnrb30F-npJsKVv8nFfEoNNR3bzrkMCyGg,97406
 siat/markowitz2-20240620.py,sha256=irZAPnjaatFsKQmFRMENP-cO6bEUl2narYtkU5NKTWI,108019
-siat/markowitz2.py,sha256=0FfGv8JzBWTjq3mjCDmT5K-lqpW6RvIggFD4h4SAGzM,109539
+siat/markowitz2.py,sha256=yu3I90RQUxk8k8D7kCa7b0wNfckOjKWHQZNTUq8512o,110060
 siat/markowitz_ccb_test.py,sha256=xBkkoaNHdq9KSUrNuHGgKTdNYUvgi84kNYcf719eoyE,1593
 siat/markowitz_ef_test.py,sha256=wjNlICkgRIqnonPeSIHo4Mu2GRtb9dr21wDt2kMNEcI,4032
 siat/markowitz_old.py,sha256=Lf7O_4QWT8RsdkHiUyc_7kKY3eZjKDtFR89Fz3pwYnY,33046
@@ -136,7 +136,7 @@ siat/valuation.py,sha256=NKfeZMdDJOW42oLVHob6eSVBXUqlN1OCnnzwyGAst8c,48855
 siat/valuation_china.py,sha256=EkZQaVkoBjM0c4MCNbaX-bMnlG0e3FXeaWczZDnkptU,67784
 siat/valuation_market_china_test.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
 siat/var_model_validation.py,sha256=f-oDewg7bPzyNanz_Y_jLH68NowAA3gXFehW_weKGG0,14898
-siat-3.2.2.dist-info/METADATA,sha256=kYXGiGAqJnm-hrtVardCgjNQ1A7SvjHoNTEudqWWV1Q,1447
-siat-3.2.2.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-siat-3.2.2.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.2.2.dist-info/RECORD,,
+siat-3.2.3.dist-info/METADATA,sha256=GB36cl3udD6IE5Vaaah6WH_nNbjjruc60CRXLHwliB8,1447
+siat-3.2.3.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.2.3.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.2.3.dist-info/RECORD,,